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EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES - MaRDI portal

EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES (Q5045343)

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scientific article; zbMATH DE number 7612456
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EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES
scientific article; zbMATH DE number 7612456

    Statements

    title
    EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES (English)
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    author
    Wenjun Jiang
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    Jiandong Ren
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    publication date
    4 November 2022
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    zbMATH Keywords
    compound distribution
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    dependence modeling
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    moment transform
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    risk measures
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    capital allocation
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    weighted distributions
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    Identifiers

    DOI
    10.1017/asb.2022.14
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    zbMATH DE Number
    7612456
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    OpenAlex ID
    W4285591971
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